4 papers
Revisiting the Excess Volatility Puzzle Through the Lens of the Chiarella Model
Jutta G. Kurth, Adam A. Majewski, Jean-Philippe Bouchaud
We amend and extend the Chiarella model of financial markets to deal with arbitrary long-term value drifts in a consistent way. This allows us to improve upon existing calibration…
Co-existence of Trend and Value in Financial Markets: Estimating an Extended Chiarella Model
Adam Majewski, Stefano Ciliberti, Jean-Philippe Bouchaud
Trend and Value are pervasive anomalies, common to all financial markets. We address the problem of their co-existence and interaction within the framework of Heterogeneous Agent B…
Black was right: Price is within a factor 2 of Value
J. P. Bouchaud, S. Ciliberti, Y. Lempérière +3
We provide further evidence that markets trend on the medium term (months) and mean-revert on the long term (several years). Our results bolster Black's intuition that prices tend…
Smile from the Past: A general option pricing framework with multiple volatility and leverage components
Adam Aleksander Majewski, Giacomo Bormetti, Fulvio Corsi
In the current literature, the analytical tractability of discrete time option pricing models is guaranteed only for rather specific types of models and pricing kernels. We propose…